Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Zhiping Chen and Liyuan Wang, Ping Chen, Haixiang Yao
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, Zhiping ; Wang, Liyuan ; Chen, Ping ; Yao, Haixiang |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 6, p. 1-33
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| Subject: | DC pension plan | regime-switching | stochastic accumulative contribution | linear quadratic control | efficient frontier | Pensionskasse | Pension fund | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Altersvorsorge | Retirement provision | Betriebliche Altersversorgung | Occupational pension plan | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500298 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153045